Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient-Reference-Cited by-同舟云学术

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Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient

Published:2023-10-10 Issue:12 Volume:100 Page:2184-2195
ISSN:0020-7160
Container-title:International Journal of Computer Mathematics
language:en
Short-container-title:International Journal of Computer Mathematics

Author:

He Jie¹,Gao Shuaibin²^ORCID,Zhan Weijun³,Guo Qian²

Affiliation:

1. Department of Mathematics, Jiangsu Second Normal University, Nanjing, People's Republic of China

2. Department of Mathematics, Shanghai Normal University, Shanghai, People's Republic of China

3. Department of Mathematics, Anhui Normal University, Wuhu, People's Republic of China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207160.2023.2266757

Reference23 articles.

1. Stochastic Calculus for Fractional Brownian Motion and Applications

2. A. Deya A. Neuenkirch and S. Tindel A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion in Ann. Inst. H. Poincaré Probab. Statist. Vol. 48 2012 pp. 518–550.

3. Stochastic Calculus for Fractional Brownian Motion I. Theory

4. Discretization of Stationary Solutions of Stochastic Systems Driven by Fractional Brownian Motion

5. The truncated Milstein method for stochastic differential equations with commutative noise

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1. Convergence Rate of the Diffused Split-Step Truncated Euler–Maruyama Method for Stochastic Pantograph Models with Lévy Leaps;Fractal and Fractional;2023-12-04

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